Citation analysis for Quantitative Finance / Taylor & Francis Journals

Quantitative Finance / Taylor & Francis Journals

0.48

Impact Factor

0.6

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.1			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.04
1995		0.19			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.26			0				0		0		(%)			0.09
1998		0.28			0				0		0		(%)			0.1
1999		0.32			0				0		0		(%)			0.13
2000		0.39			0	1			0		0		(%)			0.15
2001		0.39		67	67	26	0.39	1641	0		0		77 (4.7%)	20	0.3	0.14
2002	0.54	0.4	0.54	63	130	58	0.45	661	67	36	67	36	57 (8.6%)	8	0.13	0.17
2003	0.65	0.43	0.65	68	198	118	0.6	546	130	85	130	85	52 (9.5%)	4	0.06	0.18
2004	0.49	0.48	0.57	68	266	152	0.57	817	131	64	198	112	57 (7%)	12	0.18	0.19
2005	0.4	0.52	0.61	50	316	217	0.69	693	136	55	266	163	36 (5.2%)	4	0.08	0.2
2006	0.44	0.51	0.64	45	361	253	0.7	331	118	52	316	201	38 (11.5%)	10	0.22	0.2
2007	0.38	0.45	0.46	63	424	244	0.58	365	95	36	294	136	17 (4.7%)	9	0.14	0.18
2008	0.24	0.48	0.48	64	488	320	0.66	473	108	26	294	141	23 (4.9%)	17	0.27	0.2
2009	0.28	0.49	0.57	80	568	372	0.65	407	127	36	290	164	26 (6.4%)	4	0.05	0.19
2010	0.39	0.46	0.48	114	682	387	0.57	800	144	56	302	144	40 (5%)	19	0.17	0.17
2011	0.27	0.49	0.37	130	812	397	0.49	403	194	52	366	134	19 (4.7%)	16	0.12	0.19
2012	0.38	0.52	0.5	166	978	590	0.6	485	244	92	451	224	22 (4.5%)	10	0.06	0.19
2013	0.31	0.58	0.53	140	1118	798	0.71	449	296	93	554	295	36 (8%)	23	0.16	0.2
2014	0.42	0.6	0.57	155	1273	953	0.75	324	306	129	630	361	9 (2.8%)	18	0.12	0.2
2015	0.51	0.61	0.59	141	1414	1038	0.73	376	295	149	705	413	12 (3.2%)	37	0.26	0.19
2016	0.64	0.68	0.6	136	1550	1313	0.85	139	296	188	732	438	4 (2.9%)	5	0.04	0.2
2017	0.48	0.73	0.6	141	1691	1219	0.72	90	277	134	738	444	(%)	14	0.1	0.22

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	2001	Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers \|\| Download paper	597
2	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	226
3	2005	Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers \|\| Download paper	200
4	2001	What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers \|\| Download paper	144
5	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	139
6	2001	Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers \|\| Download paper	101
7	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÂ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	97
8	2003	Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers \|\| Download paper	97
9	2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers \|\| Download paper	90
10	2002	Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers \|\| Download paper	87
11	2003	Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers \|\| Download paper	84
12	2004	What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers \|\| Download paper	84
13	2004	Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers \|\| Download paper	81
14	2010	Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers \|\| Download paper	81
15	2002	A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers \|\| Download paper	81
16	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	77
17	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	74
18	2001	High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers \|\| Download paper	71
19	2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers \|\| Download paper	70
20	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	70
21	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	64
22	2010	A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers \|\| Download paper	60
23	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	58
24	2003	Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers \|\| Download paper	57
25	2010	No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers \|\| Download paper	57
26	2010	Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers \|\| Download paper	57
27	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃÂ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	56
28	2001	Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers \|\| Download paper	52
29	2007	Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers \|\| Download paper	46
30	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	46
31	2015	The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers \|\| Download paper	44
32	2002	Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers \|\| Download paper	44
33	2001	Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers \|\| Download paper	42
34	2003	Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers \|\| Download paper	42
35	2002	Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198. Full description at Econpapers \|\| Download paper	42
36	2012	Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers \|\| Download paper	42
37	2005	Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers \|\| Download paper	42
38	2001	Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers \|\| Download paper	41
39	2001	Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers \|\| Download paper	40
40	2002	The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers \|\| Download paper	40
41	2008	Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers \|\| Download paper	38
42	2012	The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers \|\| Download paper	37
43	2001	Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers \|\| Download paper	37
44	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	37
45	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	37
46	2015	Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers \|\| Download paper	36
47	2005	Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers \|\| Download paper	36
48	2002	Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69. Full description at Econpapers \|\| Download paper	34
49	2005	Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342. Full description at Econpapers \|\| Download paper	33
50	2005	Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276. Full description at Econpapers \|\| Download paper	33

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2001	Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers \|\| Download paper	228
2	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	86
3	2005	Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers \|\| Download paper	51
4	2010	Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers \|\| Download paper	40
5	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	40
6	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	36
7	2001	What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers \|\| Download paper	36
8	2015	The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers \|\| Download paper	34
9	2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers \|\| Download paper	33
10	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	32
11	2015	Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers \|\| Download paper	31
12	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	31
13	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	29
14	2003	Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers \|\| Download paper	26
15	2015	On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733. Full description at Econpapers \|\| Download paper	25
16	2004	Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers \|\| Download paper	25
17	2004	What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers \|\| Download paper	24
18	2015	Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636. Full description at Econpapers \|\| Download paper	24
19	2013	Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers \|\| Download paper	24
20	2012	The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers \|\| Download paper	24
21	2016	Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers \|\| Download paper	24
22	2010	Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers \|\| Download paper	22
23	2014	Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166. Full description at Econpapers \|\| Download paper	21
24	2005	Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276. Full description at Econpapers \|\| Download paper	21
25	2010	A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers \|\| Download paper	20
26	2003	Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers \|\| Download paper	20
27	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	20
28	2001	Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers \|\| Download paper	20
29	2013	Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers \|\| Download paper	20
30	2012	Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263. Full description at Econpapers \|\| Download paper	18
31	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃÂ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	18
32	2010	International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399. Full description at Econpapers \|\| Download paper	18
33	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	18
34	2012	Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327. Full description at Econpapers \|\| Download paper	18
35	2002	Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers \|\| Download paper	18
36	2002	Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers \|\| Download paper	17
37	2005	Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313. Full description at Econpapers \|\| Download paper	17
38	2002	A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers \|\| Download paper	17
39	2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers \|\| Download paper	16
40	2007	Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers \|\| Download paper	16
41	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	16
42	2001	Non-random topology of stock markets. (2001). Brisbois, F. ; Tordoir, X. ; Vandewalle, N.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:372-374. Full description at Econpapers \|\| Download paper	16
43	2010	No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers \|\| Download paper	16
44	2010	Valuation of energy storage: an optimal switching approach. (2010). Ludkovski, Michael ; Carmona, Rene. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:359-374. Full description at Econpapers \|\| Download paper	15
45	2001	High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers \|\| Download paper	15
46	2017	Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers \|\| Download paper	15
47	2015	Quantifying preferential trading in the e-MID interbank market. (2015). Mantegna, Rosario ; Iori, Giulia ; Tumminello, Michele ; Micciche, Salvatore ; Hatzopoulos, Vasilis . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:693-710. Full description at Econpapers \|\| Download paper	15
48	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	14
49	2013	Pairs trading based on statistical variability of the spread process. (2013). Bogomolov, Timofei . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:9:p:1411-1430. Full description at Econpapers \|\| Download paper	14
50	2014	Robust risk measurement and model risk. (2014). Glasserman, Paul ; Xu, Xingbo . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58. Full description at Econpapers \|\| Download paper	13

Citing documents used to compute impact factor 134:

Year	Title
2017	Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. (2017). Obi, Pat ; Bokpin, Godfred ; Mensah, Lord. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:304-311. Full description at Econpapers \|\| Download paper
2017	Enhancing two-stage modelling methodology for loss given default with support vector machines. (2017). Yao, Xiao ; Andreeva, Galina ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:679-689. Full description at Econpapers \|\| Download paper
2017	Global Hedging through Post-Decision State Variables. (2017). BRETON, Michel E ; Godin, Frederic. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:16-:d:107638. Full description at Econpapers \|\| Download paper
2017	Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318. Full description at Econpapers \|\| Download paper
2017	Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research). (2017). Shiraya, Kenichiro ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf426. Full description at Econpapers \|\| Download paper
2017	RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00. Full description at Econpapers \|\| Download paper
2017	The financial economics of white precious metals â A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308. Full description at Econpapers \|\| Download paper
2017	Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987. Full description at Econpapers \|\| Download paper
2017	NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD. (2017). Leung, Chi Man ; Kwok, Yue Kuen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500467. Full description at Econpapers \|\| Download paper
2017	ANALYTIC PRICING OF CoCo BONDS. (2017). Turfus, Colin ; Shubert, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500340. Full description at Econpapers \|\| Download paper
2017	CoCo bonds and implied CET1 volatility. (2017). de Spiegeleer, Jan ; Schoutens, Wim ; Marquet, Ine ; Hocht, Stephan ; STEPHAN HÖCHT, . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:813-824. Full description at Econpapers \|\| Download paper
2017	ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS. (2017). Josephy, Norman ; Steblovskaya, Victoria ; Kimball, Lucia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500029. Full description at Econpapers \|\| Download paper
2017	Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach. (2017). Chen, Danni ; Wu, Leilei ; Gao, Yan ; Cui, Jing. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1237-1264. Full description at Econpapers \|\| Download paper
2017	Models of Investor Forecasting Behavior â Experimental Evidence. (2017). Bonetto, Federico ; Kleywegt, Anton J ; Cheriyan, Vinod. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2017:i:1:p:3-:d:124691. Full description at Econpapers \|\| Download paper
2017	Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility. (2017). Gerlach, Richard ; Wang, Chao ; Walpole, Declan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:199-215. Full description at Econpapers \|\| Download paper
2017	Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5. Full description at Econpapers \|\| Download paper
2017	A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481. Full description at Econpapers \|\| Download paper
2017	Does the Hurst index matter for option prices under fractional volatility?. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1. Full description at Econpapers \|\| Download paper
2017	Pricing derivatives with fractional volatility. (2017). Funahashi, Hideharu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500141. Full description at Econpapers \|\| Download paper
2017	Decarbonizing the electricity grid: The impact on urban energy systems, distribution grids and district heating potential. (2017). Morvaj, Boran ; Carmeliet, Jan ; Evins, Ralph . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:125-140. Full description at Econpapers \|\| Download paper
2017	Adaptive linear prediction for optimal control of wind turbines. (2017). Narayana, Mahinsasa ; Conlon, Michael F ; Putrus, Ghanim ; Sunderland, Keith M. In: Renewable Energy. RePEc:eee:renene:v:113:y:2017:i:c:p:895-906. Full description at Econpapers \|\| Download paper
2017	The feasibility of solar parking lots for electric vehicles. (2017). Brito, Miguel C ; Figueiredo, Raquel ; Nunes, Pedro. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:1182-1197. Full description at Econpapers \|\| Download paper
2017	Determining commercially viable two-way and one-way âContract-for-Differenceâ strike prices and revenue receipts. (2017). Wild, Phillip. In: Energy Policy. RePEc:eee:enepol:v:110:y:2017:i:c:p:191-201. Full description at Econpapers \|\| Download paper
2017	Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change. (2017). Tong, Zhigang ; Liu, Allen. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500281. Full description at Econpapers \|\| Download paper
2017	Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380. Full description at Econpapers \|\| Download paper
2017	A stein type lemma for the multivariate generalized hyperbolic distribution. (2017). Vanduffel, Steven ; Yao, Jing. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:606-612. Full description at Econpapers \|\| Download paper
2017	Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117. Full description at Econpapers \|\| Download paper
2017	Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:201739. Full description at Econpapers \|\| Download paper
2017	Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:144-151. Full description at Econpapers \|\| Download paper
2017	The effect of heterogeneity on financial contagion due to overlapping portfolios. (2017). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69678. Full description at Econpapers \|\| Download paper
2017	A simple efficient approximation to price basket stock options with volatility smile. (2017). Wu, Ping ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-017-0292-1. Full description at Econpapers \|\| Download paper
2017	Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527. Full description at Econpapers \|\| Download paper
2017	General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807. Full description at Econpapers \|\| Download paper
2017	Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (2017). Kravchenko, Igor V ; Jos'e Carlos Dias, ; Torba, Sergii M. In: Papers. RePEc:arx:papers:1712.08247. Full description at Econpapers \|\| Download paper
2017	Multiple lending, credit lines and financial contagion. (2017). Cappelletti, Giuseppe ; Mistrulli, Paolo Emilio . In: Working Paper Series. RePEc:ecb:ecbwps:20172089. Full description at Econpapers \|\| Download paper
2017	The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1511.08068. Full description at Econpapers \|\| Download paper
2017	Multiplex interbank networks and systemic importance - An application to European data. (2017). Aldasoro, IÃÂ±aki ; Alves, Ivan . In: BIS Working Papers. RePEc:bis:biswps:603. Full description at Econpapers \|\| Download paper
2017	Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets. (2017). Serguieva, Antoaneta . In: Papers. RePEc:arx:papers:1701.06975. Full description at Econpapers \|\| Download paper
2017	Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165. Full description at Econpapers \|\| Download paper
2017	Multichannel contagion vs stabilisation in multiple interconnected financial markets. (2017). Serguieva, Antoaneta ; Bholat, David. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-09. Full description at Econpapers \|\| Download paper
2017	Multiple lending, credit lines, and financial contagion. (2017). Mistrulli, Paolo Emilio ; Cappelletti, Giuseppe . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1123_17. Full description at Econpapers \|\| Download paper
2017	Bank networks: Contagion, systemic risk and prudential policy. (2017). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, IÃÂ±aki. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:142:y:2017:i:c:p:164-188. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512. Full description at Econpapers \|\| Download paper
2017	Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Discussion Papers. RePEc:koe:wpaper:1719. Full description at Econpapers \|\| Download paper
2017	Network centrality and funding rates in the e-MID interbank market. (2017). Temizsoy, Asena ; Montes-Rojas, Gabriel ; Iori, Giulia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:346-365. Full description at Econpapers \|\| Download paper
2017	Network Formation with Multigraphs and Strategic Complementarities. (2017). Sarangi, Sudipta ; Mahmud, Ahmed Saber ; Joshi, Sumit. In: Working Papers. RePEc:gwi:wpaper:2017-27. Full description at Econpapers \|\| Download paper
2017	An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114. Full description at Econpapers \|\| Download paper
2017	Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, GonÃÂ§alo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001. Full description at Econpapers \|\| Download paper
2017	Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702. Full description at Econpapers \|\| Download paper
2017	Estimation of long memory in volatility using wavelets. (2017). BarunÃÂk, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5. Full description at Econpapers \|\| Download paper
2017	Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742. Full description at Econpapers \|\| Download paper
2017	Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers \|\| Download paper
2017	A Statistical Analysis of Cryptocurrencies. (2017). Chan, Stephen ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chu, Jeffrey. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:12-:d:100126. Full description at Econpapers \|\| Download paper
2017	Time series momentum and moving average trading rules. (2017). Visaltanachoti, Nuttawat ; Marshall, Ben ; Nguyen, Nhut H. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:405-421. Full description at Econpapers \|\| Download paper
2017	Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498. Full description at Econpapers \|\| Download paper
2017	On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, Matteo ; Ruffo, Chiara Maria ; Peri, Ilaria. In: Papers. RePEc:arx:papers:1603.09491. Full description at Econpapers \|\| Download paper
2017	MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier . In: Working Papers. RePEc:hal:wpaper:hal-01367277. Full description at Econpapers \|\| Download paper
2017	Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732. Full description at Econpapers \|\| Download paper
2017	MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277. Full description at Econpapers \|\| Download paper
2017	On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, M ; Ruffo, C M ; Peri, I. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1735-1743. Full description at Econpapers \|\| Download paper
2017	Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839. Full description at Econpapers \|\| Download paper
2017	STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750039x. Full description at Econpapers \|\| Download paper
2017	STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: Post-Print. RePEc:hal:journl:hal-01705085. Full description at Econpapers \|\| Download paper
2017	The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View. (2017). Tsopanakis, Andreas ; Magkonis, Georgios. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/15. Full description at Econpapers \|\| Download paper
2017	The amazing power of dimensional analysis: Quantifying market impact. (2017). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1702.05434. Full description at Econpapers \|\| Download paper
2017	Optimal execution with non-linear transient market impact. (2017). Curato, Gianbiagio ; Lillo, Fabrizio ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54. Full description at Econpapers \|\| Download paper
2017	Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200. Full description at Econpapers \|\| Download paper
2017	Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900. Full description at Econpapers \|\| Download paper
2017	Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers \|\| Download paper
2017	Cross-Sectional and Time-Series Momentum Returns and Market States. (2017). Nartea, Gilbert ; Cheema, Muhammad ; Man, Yimei . In: MPRA Paper. RePEc:pra:mprapa:78989. Full description at Econpapers \|\| Download paper
2017	Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642. Full description at Econpapers \|\| Download paper
2017	The financial economics of white precious metals â A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308. Full description at Econpapers \|\| Download paper
2017	Price forecasting in the precious metal market: A multivariate EMD denoising approach. (2017). He, Kaijian ; Chen, Yanhui. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:9-24. Full description at Econpapers \|\| Download paper
2017	Estimation of financial agent-based models with simulated maximum likelihood. (2017). BarunÃÂk, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45. Full description at Econpapers \|\| Download paper
2017	Catastrophe theory and the financial crisis. (2017). Wesselbaum, Dennis. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:64:y:2017:i:4:p:376-391. Full description at Econpapers \|\| Download paper
2017	Why do vulnerability cycles matter in financial networks?. (2017). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:592-606. Full description at Econpapers \|\| Download paper
2017	Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia. In: Papers. RePEc:arx:papers:1702.04287. Full description at Econpapers \|\| Download paper
2017	Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90. Full description at Econpapers \|\| Download paper
2017	Clearing algorithms and network centrality. (2017). Siebenbrunner, Christoph. In: Papers. RePEc:arx:papers:1706.00284. Full description at Econpapers \|\| Download paper
2017	The decline of solvency contagion risk. (2017). Hill, John ; Bardoscia, Marco ; Codd, Adam Brinley ; Barucca, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0662. Full description at Econpapers \|\| Download paper
2017	Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose. In: Staff Working Papers. RePEc:bca:bocawp:17-30. Full description at Econpapers \|\| Download paper
2017	Variance Decomposition Networks; Potential Pitfalls and a Simple Solution. (2017). Chan-Lau, Jorge A. In: IMF Working Papers. RePEc:imf:imfwpa:17/107. Full description at Econpapers \|\| Download paper
2017	Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. (2017). Santanna, Leonardo R ; Caldeira, Joo F ; Filomena, Tiago P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:146-157. Full description at Econpapers \|\| Download paper
2017	Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. (2017). Achab, Massil ; Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:1706.03411. Full description at Econpapers \|\| Download paper
2017	News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210. Full description at Econpapers \|\| Download paper
2017	Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456. Full description at Econpapers \|\| Download paper
2017	On Origins of Bubbles. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.03769. Full description at Econpapers \|\| Download paper
2017	Volatility smile as relativistic effect. (2017). Kakushadze, Zura. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:475:y:2017:i:c:p:59-76. Full description at Econpapers \|\| Download paper
2017	Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1668. Full description at Econpapers \|\| Download paper
2017	Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests. (2017). Caporale, Guglielmo Maria ; You, Kefei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1669. Full description at Econpapers \|\| Download paper
2017	Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests. (2017). Caporale, Guglielmo Maria ; You, Kefei . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6494. Full description at Econpapers \|\| Download paper
2017	Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6477. Full description at Econpapers \|\| Download paper
2017	Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744. Full description at Econpapers \|\| Download paper
2017	Transfer mutual information: A new method for measuring information transfer to the interactions of time series. (2017). Lin, Aijing ; Shang, Pengjian ; Zhao, Xiaojun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:517-526. Full description at Econpapers \|\| Download paper
2017	Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472. Full description at Econpapers \|\| Download paper
2017	Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers \|\| Download paper
2017	Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio. In: Papers. RePEc:arx:papers:1604.04963. Full description at Econpapers \|\| Download paper
2017	Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Gonzalez, Federico ; Schervish, Mark . In: Papers. RePEc:arx:papers:1707.01167. Full description at Econpapers \|\| Download paper
2017	Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers \|\| Download paper
2017	OUTPERFORMING A STOCHASTIC BENCHMARK UNDER BORROWING AND RECTANGULAR CONSTRAINTS. (2017). Yener, Haluk ; Beylunioglu, Fuat Can . In: Working Papers. RePEc:bli:wpaper:1701. Full description at Econpapers \|\| Download paper
2017	Estimating VaR in credit risk: Aggregate vs single loss distribution. (2017). Assadsolimani, M ; Chetalova, D. In: Papers. RePEc:arx:papers:1702.04388. Full description at Econpapers \|\| Download paper
2017	The value of stop-loss, stop-gain strategies in dynamic asset allocation. (2017). Shelton, Austin. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:2:d:10.1057_s41260-016-0010-y. Full description at Econpapers \|\| Download paper
2017	Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318. Full description at Econpapers \|\| Download paper
2017	Significant ties: Identifying relationship lending in temporal interbank networks. (2017). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Discussion Papers. RePEc:koe:wpaper:1717. Full description at Econpapers \|\| Download paper
2017	A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (2017). Mazzarisi, Piero ; Tantari, Daniele ; Lillo, Fabrizio ; Barucca, Paolo. In: Papers. RePEc:arx:papers:1801.00185. Full description at Econpapers \|\| Download paper
2017	Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218. Full description at Econpapers \|\| Download paper
2017	SenSR: A sentiment-based systemic risk indicator. (2017). Borovkova, Svetlana ; Rustige, Jordi ; Lammers, Philip ; Garmaev, Evgeny . In: DNB Working Papers. RePEc:dnb:dnbwpp:553. Full description at Econpapers \|\| Download paper
2017	Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901. Full description at Econpapers \|\| Download paper
2017	Forecasting Oil Price Trends with Sentiment of Online News Articles. (2017). Li, Jian ; Yu, Lean ; Tang, Ling ; Xu, Huijuan. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:02:n:s021759591740019x. Full description at Econpapers \|\| Download paper
2017	Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718. Full description at Econpapers \|\| Download paper
2017	Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098. Full description at Econpapers \|\| Download paper
2017	Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154. Full description at Econpapers \|\| Download paper
2017	ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs. (2017). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500339. Full description at Econpapers \|\| Download paper
2017	Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (2017). Ranganathan, Sindhuja ; Kanniainen, Juho ; Kivela, Mikko . In: Papers. RePEc:arx:papers:1708.04430. Full description at Econpapers \|\| Download paper
2017	New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840. Full description at Econpapers \|\| Download paper
2017	Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation. (2017). BrÃÂ¼ckbauer, Frank ; Riedler, Jesper ; Brueckbauer, Frank . In: ZEW Discussion Papers. RePEc:zbw:zewdip:17022. Full description at Econpapers \|\| Download paper
2017	How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis. (2017). Sigmund, Michael ; Pagnini, Marcello ; Krenn, Gerald ; Gunter, Ulrich ; Vacca, Valerio ; Rossi, Paola. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:3:p:555-586. Full description at Econpapers \|\| Download paper
2017	Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210. Full description at Econpapers \|\| Download paper
2017	Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20. Full description at Econpapers \|\| Download paper
2017	Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91. Full description at Econpapers \|\| Download paper
2017	Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model. (2017). Mongeau Ospina, Christian Alexander ; Granville, Brigitte ; Bagnai, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:524-538. Full description at Econpapers \|\| Download paper
2017	Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance. (2017). Wong, Wing-Keung ; Niu, Cuizhen ; Xu, Qunfang . In: MPRA Paper. RePEc:pra:mprapa:75948. Full description at Econpapers \|\| Download paper
2017	Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282. Full description at Econpapers \|\| Download paper
2017	Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (2017). Wong, Wing-Keung ; Xiao, Zhijie . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678. Full description at Econpapers \|\| Download paper
2017	A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Zhu, Lixing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:346-358. Full description at Econpapers \|\| Download paper
2017	Is Wine a Good Choice for Investment?. (2017). Wong, Wing-Keung ; GUPTA, RANGAN ; Bouri, Elie ; Zhu, Zhenzhen. In: Working Papers. RePEc:pre:wpaper:201781. Full description at Econpapers \|\| Download paper
2017	Income and Consumption Inequality in the Philippines: A Stochastic Dominance Analysis of Household Unit Records. (2017). Wong, Wing-Keung ; Zhen, Zhu Zhen ; Valenzuela, Maria Rebecca. In: ADBI Working Papers. RePEc:ris:adbiwp:0662. Full description at Econpapers \|\| Download paper
2017	Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly. (2017). Wong, Wing-Keung ; Guo, Xu ; Jiang, Xuejun. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:38-:d:115667. Full description at Econpapers \|\| Download paper
2017	Temporary and permanent technology lock-ins in the quality-differentiated Bertrand competition. (2017). Krysiak, Frank ; Bondarev, Anton. In: Working papers. RePEc:bsl:wpaper:2017/09. Full description at Econpapers \|\| Download paper
2017	Robust policy schemes for R&D games with asymmetric information. (2017). Krysiak, Frank C. In: Working papers. RePEc:bsl:wpaper:2017/14. Full description at Econpapers \|\| Download paper
2017	Essays on robust asset pricing. (2017). Horvath, Ferenc. In: Other publications TiSEM. RePEc:tiu:tiutis:e54d7b33-1f27-4b0e-9f84-f96636a04c1e. Full description at Econpapers \|\| Download paper
2017	Energy shocks and detecting influential industries. (2017). Kang, Dongsuk ; Lee, Duk Hee. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:234-247. Full description at Econpapers \|\| Download paper
2017	Climate change effects and their interactions: An analysis aiming at policy implications. (2017). Tsilika, Kyriaki ; HALKOS, GEORGE. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:53:y:2017:i:c:p:140-146. Full description at Econpapers \|\| Download paper
2017	Deviations in expected price impact for small transaction volumes under fee restructuring. (2017). Wilcox, D ; Harvey, M ; Hendricks, D ; Gebbie, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354. Full description at Econpapers \|\| Download paper
2017	Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles inceptions. (2017). Demos, Guilherme ; Sornette, Didier. In: Papers. RePEc:arx:papers:1707.07162. Full description at Econpapers \|\| Download paper
2017	A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481. Full description at Econpapers \|\| Download paper
2017	Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863. Full description at Econpapers \|\| Download paper
2017	Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926. Full description at Econpapers \|\| Download paper
2017	Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375. Full description at Econpapers \|\| Download paper
2017	Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). ProaÃÂ±o, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017. Full description at Econpapers \|\| Download paper
2017	On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752. Full description at Econpapers \|\| Download paper
2017	Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers \|\| Download paper
2017	Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127. Full description at Econpapers \|\| Download paper
2017	Fiscal consolidations and finite planning horizons. (2017). Mavromatis, Kostas(Konstantinos) ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:130. Full description at Econpapers \|\| Download paper
2017	Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131. Full description at Econpapers \|\| Download paper
2017	Fiscal consolidations and heterogeneous expectations. (2017). Mavromatis, Kostas(Konstantinos) ; Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132. Full description at Econpapers \|\| Download paper
2017	Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1602.07910. Full description at Econpapers \|\| Download paper
2016	Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516. Full description at Econpapers \|\| Download paper
2016	An extreme value analysis of the last century crises across industries in the U.S. economy. (2016). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Working Papers. RePEc:ial:wpaper:02/2016. Full description at Econpapers \|\| Download paper
2016	Maximizing excess return per unit variance: A novel investment management objective. (2016). Glabadanidis, Paskalis. In: Journal of Asset Management. RePEc:pal:assmgt:v:17:y:2016:i:7:d:10.1057_jam.2016.11. Full description at Econpapers \|\| Download paper
2016	THE EFFECT OF HETEROGENEITY ON FINANCIAL CONTAGION DUE TO OVERLAPPING PORTFOLIOS. (2016). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:19:y:2016:i:08:n:s0219525916500168. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Stress for Success: A Review of Timothy Geithners Financial Crisis Memoir. (2015). Gorton, Gary. In: Journal of Economic Literature. RePEc:aea:jeclit:v:53:y:2015:i:4:p:975-95. Full description at Econpapers \|\| Download paper
2015	Can a stochastic cusp catastrophe model explain housing market crashes?. (2015). Wang, J. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-12. Full description at Econpapers \|\| Download paper
2015	Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers \|\| Download paper
2015	Club Convergence of House Prices: Evidence from Chinas Ten Key Cities. (2015). Meng, Hao ; Xie, Wen-Jie ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1503.05550. Full description at Econpapers \|\| Download paper
2015	Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers \|\| Download paper
2015	Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Mantegna, Rosario ; Musciotto, Federico ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers \|\| Download paper
2015	Strategic Interactions and Contagion Effects under Monetary Unions. (2015). Piersanti, Giovanni ; Di Bartolomeo, Giovanni ; Canofari, Paolo. In: The World Economy. RePEc:bla:worlde:v:38:y:2015:i:10:p:1618-1629. Full description at Econpapers \|\| Download paper
2015	Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, IÃÂ±aki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540. Full description at Econpapers \|\| Download paper
2015	Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers \|\| Download paper
2015	The role of bank relationships in the interbank market. (2015). Montes Rojas, Gabriel ; Iori, Giulia ; Montes-Rojas, Gabriel ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141. Full description at Econpapers \|\| Download paper
2015	Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen. In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211. Full description at Econpapers \|\| Download paper
2015	Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. (2015). Wong, Wing-Keung ; Lean, Hooi Hooi ; HOANG, Thi Hong Van. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:98-108. Full description at Econpapers \|\| Download paper
2015	A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre. In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149. Full description at Econpapers \|\| Download paper
2015	Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2015). Lleo, Sebastien ; Ziemba, William T.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:399-425. Full description at Econpapers \|\| Download paper
2015	Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers \|\| Download paper
2015	The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. (2015). Rodriguez, Rosa ; Malagon, Juliana ; Moreno, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:224-238. Full description at Econpapers \|\| Download paper
2015	MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:253-265. Full description at Econpapers \|\| Download paper
2015	Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:78718. Full description at Econpapers \|\| Download paper
2015	The Italian Corporate System: SOEs, Private Firms and Institutions in a Network Perspective (1952-1983). (2015). Bargigli, Leonardo ; Giannetti, Renato . In: Working Papers - Economics. RePEc:frz:wpaper:wp2015_01.rdf. Full description at Econpapers \|\| Download paper
2015	Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers \|\| Download paper
2015	Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Hui, Cho-Hoi ; Fong, Tom ; Zheng, Xiao-Fen ; Lo, Chi-Fai. In: Working Papers. RePEc:hkm:wpaper:182015. Full description at Econpapers \|\| Download paper
2015	Designing Effective Macroprudential Stress Tests; Progress So Far and the Way Forward. (2015). Demekas, Dimitri. In: IMF Working Papers. RePEc:imf:imfwpa:15/146. Full description at Econpapers \|\| Download paper
2015	Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Kenett, Dror Y ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Levy-Carciente, Sary . In: Working Papers. RePEc:ofr:wpaper:15-12. Full description at Econpapers \|\| Download paper
2015	Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios. (2015). Chen, Jingnan ; Sowers, Richard B ; Flood, Mark D. In: Working Papers. RePEc:ofr:wpaper:15-19. Full description at Econpapers \|\| Download paper
2015	Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton. In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers \|\| Download paper
2015	Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen. In: MPRA Paper. RePEc:pra:mprapa:66521. Full description at Econpapers \|\| Download paper
2015	Networks of value added trade. (2015). Cabral, Sonia ; Amador, JoÃÂ£o. In: Working Papers. RePEc:ptu:wpaper:w201516. Full description at Econpapers \|\| Download paper
2015	Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo. In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers \|\| Download paper
2015	European Government Bond Dynamics and Stability Policies: Taming Contagion Risks. (2015). Hillebrand, Martin ; Ott, Thomas ; Schuele, Martin ; Schwendner, Peter . In: Working Papers. RePEc:stm:wpaper:8. Full description at Econpapers \|\| Download paper
2015	Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, IÃÂ±aki. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606. Full description at Econpapers \|\| Download paper
2015	Financial stability from a network perspective. (2015). Leon Rincon, C. E., . In: Other publications TiSEM. RePEc:tiu:tiutis:bb2e4e44-e842-45c6-a946-4ba7bdffb65c. Full description at Econpapers \|\| Download paper
2015	Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1514. Full description at Econpapers \|\| Download paper
2015	Cost-efficiency in multivariate LÃ©vy models. (2015). Ludger, Ruschendorf ; Viktor, Wolf . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:16:n:1. Full description at Econpapers \|\| Download paper
2015	COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS. (2015). Curme, Chester ; Vodenska, Irena ; Stanley, Eugene H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500430. Full description at Econpapers \|\| Download paper
2015	THE MULTI-CURVE POTENTIAL MODEL. (2015). Nguyen, The Anh ; Seifried, Frank Thomas. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500491. Full description at Econpapers \|\| Download paper
2015	Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, IÃÂ±aki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102. Full description at Econpapers \|\| Download paper
2015	Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, IÃÂ±aki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102r. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. (2014). Costola, Michele ; Corazzini, Luca ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-33. Full description at Econpapers \|\| Download paper
2014	Optimal Exercise for Derivative Securities. (2014). . In: Annual Review of Financial Economics. RePEc:anr:refeco:v:6:y:2014:p:459-487. Full description at Econpapers \|\| Download paper
2014	Utility indifference pricing of derivatives written on industrial loss indexes. (2014). Leobacher, Gunther ; Ngare, Philip. In: Papers. RePEc:arx:papers:1404.0879. Full description at Econpapers \|\| Download paper
2014	To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey. In: Papers. RePEc:arx:papers:1407.0256. Full description at Econpapers \|\| Download paper
2014	Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Itkin, Andrey ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers \|\| Download paper
2014	Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers \|\| Download paper
2014	Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096. Full description at Econpapers \|\| Download paper
2014	An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53. Full description at Econpapers \|\| Download paper
2014	Optimal corporate hedging using options with basis and production risk. (2014). Barbi, Massimiliano ; Bajo, Emanuele ; Romagnoli, Silvia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:30:y:2014:i:c:p:56-71. Full description at Econpapers \|\| Download paper
2014	Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33. Full description at Econpapers \|\| Download paper
2014	Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216. Full description at Econpapers \|\| Download paper
2014	A general HJM framework for multiple yield curve modeling. (2014). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-01011752. Full description at Econpapers \|\| Download paper
2014	Centrality-based Capital Allocations. (2014). Raupach, Peter ; Alter, Adrian ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:14/237. Full description at Econpapers \|\| Download paper
2014	OR ForumâDesign of Risk Weights. (2014). Kang, Wanmo ; Glasserman, Paul. In: Operations Research. RePEc:inm:oropre:v:62:y:2014:i:6:p:1204-1220. Full description at Econpapers \|\| Download paper
2014	Learning Continuous Time Bayesian Network Classifiers Using MapReduce. (2014). Villa, Simone ; Rossetti, Marco . In: Journal of Statistical Software. RePEc:jss:jstsof:v:062:i03. Full description at Econpapers \|\| Download paper
2014	Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo. In: Working Papers. RePEc:ofr:wpaper:14-06. Full description at Econpapers \|\| Download paper
2014	Analysis of deviance in household financial portfolio choice: evidence from Spain. (2014). Utrero-GonzÃÂ¡lez, Natalia ; GonzÃÂ¡lez Chapela, Jorge ; Callado-MuÃÂ±oz, Francisco ; Callado MuÃ±oz, Francisco Jose, . In: MPRA Paper. RePEc:pra:mprapa:57497. Full description at Econpapers \|\| Download paper
2014	Clustering of financial time series in risky scenarios. (2014). Durante, Fabrizio ; Pappada, Roberta ; Torelli, Nicola . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:8:y:2014:i:4:p:359-376. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	539
2	Quantitative Finance / Taylor & Francis Journals	130
3	Physica A: Statistical Mechanics and its Applications / Elsevier	113
4	Journal of Banking & Finance / Elsevier	63
5	MPRA Paper / University Library of Munich, Germany	59
6	Insurance: Mathematics and Economics / Elsevier	55
7	Journal of Economic Dynamics and Control / Elsevier	54
8	Post-Print / HAL	46
9	European Journal of Operational Research / Elsevier	44
10	Finance and Stochastics / Springer	40
11	Energy Economics / Elsevier	37

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.